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Product-form Cholesky factorization in interior point methods for second-order cone programming

✍ Scribed by D. Goldfarb; K. Scheinberg


Publisher
Springer-Verlag
Year
2004
Tongue
English
Weight
271 KB
Volume
103
Category
Article
ISSN
0025-5610

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Fast Cholesky factorization for interior
✍ C. MΓ©szΓ‘ros πŸ“‚ Article πŸ“… 1996 πŸ› Elsevier Science 🌐 English βš– 366 KB

Every iteration of an interior point method of large scale linear programming requires computing at least one orthogonal projection. In practice, Cholesky decomposition seems to be the most efficient and sufficiently stable method. We studied the 'column oriented' or 'left looking' sparse variant of